The monthly rates of return for General Electric (Symbol GE) and the Standard and Poor's index...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
The monthly rates of return for General Electric (Symbol GE) and the Standard and Poor's index (a measure of the overall NYSE stock market) were recorded for each month between January 2008 and December 2012. Some of these data are shown here. Estimate the market model and analyze the results. Year Month 2008 January February March 2012 April May June July August September October November December January February March April May June July August September October November December S&P 500 Index -0.03476 -0.00596 0.04755 0.01067 -0.08596 -0.00986 0.01219 -0.09079 -0.16942 -0.07485 0.00782 -0.08566 0.04059 0.03133 -0.00750 -0.06265 0.03955 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 0.02171 GE -0.05446 0.11703 -0.11651 -0.06058 -0.12151 0.05998 -0.00676 -0.08036 -0.23486 -0.12024 -0.03777 -0.25125 0.02765 0.05328 -0.02453 -0.02462 0.10097 -0.00439 -0.00196 0.10457 -0.07244 0.00335 0.00239 -0.00429 The monthly rates of return for General Electric (Symbol GE) and the Standard and Poor's index (a measure of the overall NYSE stock market) were recorded for each month between January 2008 and December 2012. Some of these data are shown here. Estimate the market model and analyze the results. Year Month 2008 January February March 2012 April May June July August September October November December January February March April May June July August September October November December S&P 500 Index -0.03476 -0.00596 0.04755 0.01067 -0.08596 -0.00986 0.01219 -0.09079 -0.16942 -0.07485 0.00782 -0.08566 0.04059 0.03133 -0.00750 -0.06265 0.03955 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 0.02171 GE -0.05446 0.11703 -0.11651 -0.06058 -0.12151 0.05998 -0.00676 -0.08036 -0.23486 -0.12024 -0.03777 -0.25125 0.02765 0.05328 -0.02453 -0.02462 0.10097 -0.00439 -0.00196 0.10457 -0.07244 0.00335 0.00239 -0.00429
Expert Answer:
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
Posted Date:
Students also viewed these accounting questions
-
The following are the monthly rates of return for Madison Corp. and for Sophie Electric during a six-month period. a. Compute the average monthly rate of return for each stock. b. Compute the...
-
The following are the monthly rates of return for Madison Cookies and for Sophie Electric during a six-month period. Compute the following. a. Average monthly rate of return Ri for each stock b....
-
The monthly rates of return of TCC are given below. Using the EXCEL slope function, calculate the beta of TCC. If the risk-free rate currently is 5% and market risk premium is 7%, what is expected...
-
Route Canal Shipping Company has the following schedule for aging of accounts receivable: AGE OF RECEIVABLES APRIL 30, 2001 a. Fill in column (4) for each month. b. If the firm had $1,440,000 in...
-
The common shares of Unicorp. are forecast to pay annual dividends of $2 at the end of each of the next five years, followed by dividends of $3 per year in perpetuity. What is the fair market value...
-
Two pipes are connected by a manometer as shown in Fig. P2.40. Determine the pressure difference, \(p_{\mathrm{A}}-p_{\mathrm{B}}\), between the pipes. Figure P2.40 Water A+ 0.5 m 0.6 m Gage fluid...
-
True or False: Trial weights can be attached to the outer edge of a fan wheel just using the clamping bolt.
-
Given the following information regarding a project concerning an initial public offering (IPO), (a) Draw the network. (b) What is the critical path? (c) When will the offering be available...
-
9. Identify the CIA area(s) affected in each of these incidents and some actions organizations can take to ensure that these incidents do not happen to them. Incident 414's: Confidentiality. Morris...
-
1. Which process should VBB choose to produce?? 2. How much would VBP be willing to pay for the testing that is currently offered, for each batch?? 3. Would we be considered a perfect test, at twice...
-
A software company has 3 senior developers and 4 junior developers. These developers are working as 3 different teams; 2 sets of '1Senior+1Junior' and 1 set of '1Senior+2Junior'. Productivity levels...
-
A humanitarian aid operation in Somalia requires supplies to be delivered to three inland locations named 1, 2, and 3, whose demands are 500, 600, and 450 tons respectively. The deliveries can come...
-
After being drafted in the first round of the NFL draft, a star defensive end invests his signing bonus of $9,827,000.00 in a mutual fund. The fund pays on average 7.00% APR. The player will not...
-
The table below shows the prices and quantities of the average household consumption basket (bundle) in two years. Using Year 1 is the base year, the inflation rate in the CPI is 5%. Is this...
-
McCarthy, Inc.'s Brazilian subsidiary borrowed 125,000 euros on January 1, 2020. Exchange rates between the Brazilian real (BRL) and euro () and between the U.S. dollar ($) and BRL are as follows:...
-
Denise and Richard Deleon want to buy a house for $375,000. They can make a down payment of $100,000 from a combination of their RSPs ($25000 each under the Home Buyers program) and wedding gifts...
-
Controversy erupted in 1999 when the J.M. Smucker Company sued a Michigan bakery, Albie's, for infringing on its patent by marketing a crustless peanut butter and jelly sandwich crimped on the edges....
-
Organizations are increasing their use of personality tests to screen job applicants. What are some of the advantages and disadvantages of this approach? What can managers do to avoid some of the...
-
Beth Stewart is an investment analyst for the U.S.-based Empire Pension Fund. Empire is considering the addition of two recently established U.S. large-capitalization equity mutual funds to its asset...
-
As the manager of a large, well-diversified school endowment fund, you are actively considering the implementation of sophisticated derivative strategies to protect your fund's market value in the...
-
Should you care about how well a mutual fund is diversified? Why or why not?
-
Consider a binary equimolar mixture of acetone and chloroform at \(300 \mathrm{~K}\) and \(1 \mathrm{~atm}\). Because this mixture forms a binary azeotrope, methyl- \(n\)-pentyl ether solvent is used...
-
A system of three parallel reactions (Trambouze and Piret, 1959) involves the following reaction scheme: \[\mathrm{A} \xrightarrow{k_{1}} \mathrm{~B} \quad \mathrm{~A} \xrightarrow{k_{2}} \mathrm{C}...
-
Repeat Exercise 8.1, taking the first two reactions as first order, and the last as second order with \(k_{1}=0.02 \mathrm{~min}^{-1}, k_{2}=0.2 \mathrm{~min}^{-1}\), and \(k_{3}=2.0 \mathrm{~L} /...
Study smarter with the SolutionInn App